void Application::updateOrder( const Order& order, char status )
{
FIX::TargetCompID targetCompID( order.getOwner() );
FIX::SenderCompID senderCompID( order.getTarget() );
FIX42::ExecutionReport fixOrder
( FIX::OrderID ( order.getClientID() ),
FIX::ExecID ( m_generator.genExecutionID() ),
FIX::ExecTransType ( FIX::ExecTransType_NEW ),
FIX::ExecType ( status ),
FIX::OrdStatus ( status ),
FIX::Symbol ( order.getSymbol() ),
FIX::Side ( convert( order.getSide() ) ),
FIX::LeavesQty ( order.getOpenQuantity() ),
FIX::CumQty ( order.getExecutedQuantity() ),
FIX::AvgPx ( order.getAvgExecutedPrice() ) );
fixOrder.set( FIX::ClOrdID( order.getClientID() ) );
fixOrder.set( FIX::OrderQty( order.getQuantity() ) );
if ( status == FIX::OrdStatus_FILLED ||
status == FIX::OrdStatus_PARTIALLY_FILLED )
{
fixOrder.set( FIX::LastShares( order.getLastExecutedQuantity() ) );
fixOrder.set( FIX::LastPx( order.getLastExecutedPrice() ) );
}
try
{
FIX::Session::sendToTarget( fixOrder, senderCompID, targetCompID );
}
catch ( FIX::SessionNotFound& ) {}}
void Strategy::printExecutionReport( const FIX42::ExecutionReport ereport ) {
FIX::OrderID orderID;
FIX::ExecID execID;
FIX::ExecTransType execTransType;
FIX::ExecType execType;
FIX::OrdStatus ordStatus;
FIX::Symbol symbol;
FIX::Side side;
FIX::LeavesQty leavesQty;
FIX::CumQty cumQty;
FIX::AvgPx avgPx;
ereport.get(orderID);
ereport.get(execID);
ereport.get(execTransType);
ereport.get(execType);
ereport.get(ordStatus);
ereport.get(symbol);
ereport.get(side);
ereport.get(leavesQty);
ereport.get(cumQty);
ereport.get(avgPx);
std::cout<< "[EXECUTION REPORT] symbol:" << symbol
<< "\tSide:" << ( side == FIX::Side_SELL ? "SELL" : "BUY" )
<< "\tLeavesQty:" << leavesQty
<< "\tCumQty:" << cumQty
<< "\tAvgPx:"<< std::fixed << std::setprecision(2) << (double)avgPx
<< std::endl;
}
void Application::onMessage
( const FIX42::ExecutionReport& message, const FIX::SessionID& ) {
FIX::OrdStatus status;
message.get(status);
switch(status){
case (FIX::OrdStatus_NEW):
getConfirmationTrade=true;
break;
case (FIX::OrdStatus_PARTIALLY_FILLED):
getConfirmationPartialExecutionTrade =true;
this->strategy.postTrade(message);
break;
case (FIX::OrdStatus_FILLED):
getConfirmationExecutionTrade =true;
this->strategy.postTrade(message);
break;
case (FIX::OrdStatus_CANCELED):
getConfirmationCanceledTrade=true;
break;
default:
break;
}
}
void Application::rejectOrder
( const FIX::SenderCompID& sender, const FIX::TargetCompID& target,
const FIX::ClOrdID& clOrdID, const FIX::Symbol& symbol,
const FIX::Side& side, const std::string& message )
{
FIX::TargetCompID targetCompID( sender.getValue() );
FIX::SenderCompID senderCompID( target.getValue() );
FIX42::ExecutionReport fixOrder
( FIX::OrderID ( clOrdID.getValue() ),
FIX::ExecID ( m_generator.genExecutionID() ),
FIX::ExecTransType ( FIX::ExecTransType_NEW ),
FIX::ExecType ( FIX::ExecType_REJECTED ),
FIX::OrdStatus ( FIX::ExecType_REJECTED ),
symbol, side, FIX::LeavesQty( 0 ), FIX::CumQty( 0 ), FIX::AvgPx( 0 ) );
fixOrder.set( clOrdID );
fixOrder.set( FIX::Text( message ) );
try
{
FIX::Session::sendToTarget( fixOrder, senderCompID, targetCompID );
}
catch ( FIX::SessionNotFound& ) {}}
void Strategy::postTrade(FIX42::ExecutionReport ereport){
std::cout << "Strategy::PostTrade"<<std::endl;
//this->printExecutionReport(ereport);
FIX::LastShares lastShares;
FIX::LastPx lastPx;
FIX::Side side;
ereport.get(lastShares);
ereport.get(lastPx);
ereport.get(side);
this->numberStock += ( side == FIX::Side_SELL ? -lastShares : +lastShares );
this->cash += ( side == FIX::Side_SELL ? +lastShares*lastPx : -lastShares*lastPx );
FIX::TransactTime now;
this->agentControl.setPortfolio(now.getString(),this->cash, this->numberStock, 0.0);
//if(this->cash <= 0.0 && this->numberStock <= 0.0)
// exit(1);
}
void Application::onMessage( const FIX42::NewOrderSingle& message,
const FIX::SessionID& sessionID )
{
FIX::Symbol symbol;
FIX::Side side;
FIX::OrdType ordType;
FIX::OrderQty orderQty;
FIX::Price price;
FIX::ClOrdID clOrdID;
FIX::Account account;
message.get( ordType );
if ( ordType != FIX::OrdType_LIMIT )
throw FIX::IncorrectTagValue( ordType.getField() );
message.get( symbol );
message.get( side );
message.get( orderQty );
message.get( price );
message.get( clOrdID );
FIX42::ExecutionReport executionReport = FIX42::ExecutionReport
( FIX::OrderID( genOrderID() ),
FIX::ExecID( genExecID() ),
FIX::ExecTransType( FIX::ExecTransType_NEW ),
FIX::ExecType( FIX::ExecType_FILL ),
FIX::OrdStatus( FIX::OrdStatus_FILLED ),
symbol,
side,
FIX::LeavesQty( 0 ),
FIX::CumQty( orderQty ),
FIX::AvgPx( price ) );
executionReport.set( clOrdID );
executionReport.set( orderQty );
executionReport.set( FIX::LastShares( orderQty ) );
executionReport.set( FIX::LastPx( price ) );
if( message.isSet(account) )
executionReport.setField( message.get(account) );
try
{
FIX::Session::sendToTarget( executionReport, sessionID );
}
catch ( FIX::SessionNotFound& ) {}
}
